Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0961
Annualized Std Dev 0.2209
Annualized Sharpe (Rf=0%) 0.4350

Row

Daily Return Statistics

Close
Observations 4833.0000
NAs 1.0000
Minimum -0.1336
Quartile 1 -0.0056
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0073
Maximum 0.1034
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0139
Skewness -0.5383
Kurtosis 9.2846

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0094
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.5941
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0336
Modified VaR (95%) -0.0219
Modified ES (95%) -0.0452
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2011-02-11 -0.5941 843 355 488
2020-02-21 2020-03-18 2020-08-27 -0.4172 132 19 113
2002-04-17 2002-10-09 2003-09-02 -0.3165 347 123 224
2011-05-02 2011-10-03 2012-09-13 -0.2764 347 108 239
2015-06-24 2016-02-11 2016-11-22 -0.2600 359 161 198

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 0.1 1.2 0.3 0.4 0.7 -2.9 -1.4 -0.4 0.7 0.8 -0.4 1.1 0.2
2003 1.5 0.2 0.3 0.5 2 0.4 -0.8 0.5 1.3 0.1 1 -0.4 6.8
2004 0.1 1.1 0.7 -1 0.2 -0.7 0.6 0.6 1.4 0.3 1.2 0.1 5
2005 0.7 0.6 -0.3 0.2 0.6 0.2 0.1 0.3 0.9 0 1.8 -0.3 5
2006 0.2 1.4 0.2 -0.5 1.7 0.6 -1 0.6 -0.5 -1.4 -0.2 -0.6 0.5
2007 1 -0.4 0.2 0.2 0.5 -0.2 0.3 1.3 1.6 -2.6 0.7 -0.5 2.1
2008 3 -2.5 3.2 1.4 0.7 0.1 0 -1 -0.7 3.5 -11 2.6 -1.6
2009 -2.1 -0.5 1.9 0.1 3.1 1.4 0.2 -2.1 -3.4 -2.9 1.4 -1.2 -4.4
2010 1.5 1.8 0.9 -2.2 -2.9 -0.7 0.3 3.5 0.5 -0.2 2.2 -0.5 4
2011 1.8 -2 0.5 0.4 -2.7 1.6 -0.5 -1.8 -3 -3.3 -0.4 -0.4 -9.4
2012 2.1 0.7 0 0.2 -3.1 2.8 -1.1 0.4 0 1.8 -0.1 1.9 5.8
2013 0.8 0.3 -1.1 -1.9 -1 1.5 1.7 -1.3 1.3 0 -0.1 0.4 0.5
2014 -0.6 -0.2 1.2 0.2 -0.3 0.9 -0.2 0.5 -1.5 1.4 -1.5 -0.7 -1
2015 -1.6 -0.4 -0.3 0.6 0.2 0.4 0.2 -2.6 -0.1 -0.2 0.8 -0.8 -3.7
2016 -0.1 2.1 0.4 -0.7 0.6 0.3 -0.2 0.1 0.9 -1 -0.7 -0.4 1.4
2017 -0.2 1.5 0.1 0.5 1.7 0.1 0.2 0.4 0.3 -0.3 -0.4 -0.6 3.3
2018 0.2 -0.5 1.2 0.3 0.8 0 0 0.3 -0.9 2 0.7 1 5.2
2019 0.4 0.7 1.1 -0.9 -1.1 0.6 -1.3 -0.1 -1.7 1.4 -0.6 0.3 -1.4
2020 -1.7 -1 -6 -3.4 1.5 0 -0.5 1 2 -2 0.7 -0.2 -9.5
2021 2.1 3.1 0.7 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-01-04  31.1 SPY    118.  0.0067  1.34e-2   0.0202   0.0948  -0.120   NA            NA <NA>     NA    NA       NA
2 2002-01-07  31.0 SPY    117. -0.0071  6.80e-3  -0.0052   0.0892  -0.110   NA            NA <NA>     NA    NA       NA
3 2002-01-08  30.8 SPY    117. -0.0023  1.94e-2  -0.007    0.0938  -0.0954  -0.0529       NA <NA>     NA    NA       NA
4 2002-01-09  30.8 SPY    116. -0.0082  3.00e-4  -0.0085   0.0907  -0.144   -0.0713       NA <NA>     NA    NA       NA
5 2002-01-10  30.8 SPY    116.  0.0044 -6.50e-3   0.0149   0.0716  -0.131   -0.0891       NA <NA>     NA    NA       NA
6 2002-01-11  30.7 SPY    115. -0.0098 -2.28e-2   0.0069   0.0449  -0.110   -0.0936       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart